Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0844
Annualized Std Dev 0.2383
Annualized Sharpe (Rf=0%) 0.3541

Row

Daily Return Statistics

Close
Observations 4201.0000
NAs 1.0000
Minimum -0.1543
Quartile 1 -0.0062
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0075
Maximum 0.1057
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0150
Skewness -0.4344
Kurtosis 9.7344

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0104
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6185
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0362
Modified VaR (95%) -0.0231
Modified ES (95%) -0.0449
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-02-16 -0.6185 934 443 491
2020-01-17 2020-03-23 2020-11-24 -0.4418 217 45 172
2011-05-02 2011-10-03 2013-01-17 -0.3085 432 108 324
2018-09-04 2018-12-24 2019-11-27 -0.2493 311 77 234
2015-06-24 2016-02-11 2016-11-14 -0.2316 352 161 191

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 1.1 1 1.9 0.6 1.4 -0.3 5.8
2005 0.6 0.6 0 0.4 0.2 0.4 0.5 0.3 0.3 0.1 2.2 -0.7 5
2006 0.7 1.5 0.3 -0.2 2.2 0.4 -1.2 0.6 -0.9 -1.7 -0.6 -0.7 0.4
2007 0.6 -0.1 0.1 0.2 0.7 -1.1 0.5 1.4 2.2 -3.1 -0.1 -0.5 0.8
2008 1.7 -2.4 3.3 2 0.3 -0.4 -0.1 -0.5 -1.8 4.5 -8.8 3.2 0.5
2009 -2.6 -0.6 1.3 0.4 4.4 1.9 -0.1 -2.2 -3.6 -2.6 1.9 -1.5 -3.5
2010 1.3 2 0.8 -2.4 -3 -0.7 0 3.6 0.5 -0.3 2.3 -0.8 3.2
2011 2 -1.6 0.5 0.6 -2.6 1.7 -0.9 -2.2 -3.1 -3.6 -0.4 -0.5 -9.7
2012 1.7 0.2 0.2 0.3 -2.7 2.6 -1.4 0.2 -0.1 1.6 -0.3 1.3 3.4
2013 1 0.1 -1.5 -1.6 -0.7 1.6 1.4 -1.5 1 -0.5 -0.1 0.2 -0.7
2014 -0.5 0.3 1.1 -0.4 -0.4 1.4 -0.8 0.5 -1.6 1.7 -1.8 -0.6 -1.3
2015 -1.8 -0.3 -0.5 1.1 0.2 0.3 0.3 -3 -0.2 -0.1 0.6 -1.2 -4.6
2016 0.6 1.8 0 -1.2 0.6 0.5 -0.3 -0.3 0.3 -1.3 -0.4 -0.4 -0.1
2017 0 1.7 0.3 0.3 2 0.3 0.2 0.6 0.2 -0.5 -1 -0.4 3.8
2018 0.2 0 1 0.4 0.7 0 -0.5 0.5 -1.4 1.4 0.7 0.7 3.9
2019 -0.2 0.6 1.2 -0.8 -1.2 0.4 -1.7 0.3 -1.8 1.4 -0.7 0.1 -2.2
2020 -1.9 -1.8 -6.1 -3.9 1.3 -1.5 -1 0.5 1 -1.2 1.4 0 -13
2021 2.6 2.5 0 NA NA NA NA NA NA NA NA NA 5.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-02  59.9 SPY    113. -0.0005   -0.0084  -0.0022  -0.0079    0.131  -0.0713   -0.153 <NA>     NA    NA       NA
2 2004-07-06  59.1 SPY    112. -0.0088   -0.0138  -0.0018  -0.024     0.133  -0.0789   -0.168 <NA>     NA    NA       NA
3 2004-07-07  59.3 SPY    112.  0.00290  -0.0149  -0.0067  -0.0265    0.114  -0.0813   -0.181 <NA>     NA    NA       NA
4 2004-07-08  58.9 SPY    111. -0.0071   -0.0272  -0.0286  -0.0303    0.102  -0.0912   -0.193 <NA>     NA    NA       NA
5 2004-07-09  58.6 SPY    112.  0.0028   -0.0107  -0.0273  -0.0253    0.111  -0.0999   -0.198 <NA>     NA    NA       NA
6 2004-07-12  58.1 SPY    112.  0.0004   -0.0097  -0.0177  -0.0226    0.126  -0.0993   -0.198 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart